Stop presses! Sit down! Have some smelling salts! The PerpetualDiscount index was actually up today (up almost 42bp, in fact), ending a string of twelve consecutive losses from June 4 to June 19, inclusive. Those twelve consecutive losses took the PerpetualDiscount index down 5.80%.
Average pre-tax bid-YTW for PerpetualDiscounts is now 6.07%, interest-equivalent 8.50%, long corporates .. oh, call it 6.17% and 30-year Canadas at 4.15%.
Work out the spreads and update the graphs yourselves, ya bums! What am I, your maid?
| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30 | |||||||
| Index | Mean Current Yield (at bid) | Mean YTW | Mean Average Trading Value | Mean Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.20% | 4.22% | 51,358 | 17.00 | 1 | -0.0393% | 1,114.6 |
| Fixed-Floater | 5.06% | 4.85% | 62,750 | 15.82 | 7 | -0.8252% | 990.6 |
| Floater | 4.04% | 4.04% | 69,487 | 17.35 | 2 | -0.4349% | 947.8 |
| Op. Retract | 4.84% | 2.43% | 86,636 | 2.44 | 15 | +0.8648% | 1,057.4 |
| Split-Share | 5.31% | 5.67% | 68,606 | 4.15 | 15 | +0.0429% | 1,048.6 |
| Interest Bearing | 6.11% | 3.77% | 48,125 | 2.01 | 3 | -0.2333% | 1,121.5 |
| Perpetual-Premium | 5.96% | 4.61% | 360,772 | 10.27 | 13 | -0.0252% | 1,007.0 |
| Perpetual-Discount | 6.00% | 6.07% | 223,135 | 13.78 | 59 | +0.4181% | 875.6 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BCE.PR.I | FixFloat | -3.7199% | |
| BCE.PRA | FixFloat | -2.0481% | |
| POW.PR.A | PerpetualDiscount | -1.6822% | Now with a pre-tax bid-YTW of 6.31% based on a bid of 22.21 and a limitMaturity. |
| BCE.PR.Z | FixFloat | -1.5625% | Now with a pre-tax bid-YTW of 4.97% based on a bid of 22.05 and a limitMaturity. |
| POW.PR.D | PerpetualDiscount | -1.4500% | Now with a pre-tax bid-YTW of 6.15% based on a bid of 20.39 and a limitMaturity. |
| POW.PR.B | PerpetualDiscount | -1.1845% | Now with a pre-tax bid-YTW of 6.18% based on a bid of 21.69 and a limitMaturity. |
| POW.PR.C | PerpetualDiscount | -1.1059% | Now with a pre-tax bid-YTW of 6.24% based on a bid of 23.25 and a limitMaturity. |
| PWF.PR.H | PerpetualPremium (for now!) | -1.0962% | Now with a pre-tax bid-YTW of 5.99% based on a bid of 24.36 and a limitMaturity. |
| PWF.PR.F | PerpetualDiscount | +1.0693% | Now with a pre-tax bid-YTW of 6.15% based on a bid of 21.74 and a limitMaturity. |
| CM.PR.P | PerpetualDiscount | +1.1364% | Now with a pre-tax bid-YTW of 6.27% based on a bid of 22.25 and a limitMaturity. |
| HSB.PR.C | PerpetualDiscount | +1.1423% | Now with a pre-tax bid-YTW of 6.03% based on a bid of 21.25 and a limitMaturity. |
| HSB.PR.D | PerpetualDiscount | +1.1702% | Now with a pre-tax bid-YTW of 6.06% based on a bid of 20.75 and a limitMaturity. |
| SLF.PR.D | PerpetualDiscount | +1.2168% | Now with a pre-tax bid-YTW of 6.11% based on a bid of 18.30 and a limitMaturity. |
| BNS.PR.J | PerpetualDiscount | +1.2603% | Now with a pre-tax bid-YTW of 5.68% based on a bid of 23.30 and a limitMaturity. |
| SLF.PR.E | PerpetualDiscount | +1.3263% | Now with a pre-tax bid-YTW of 5.92% based on a bid of 19.10 and a limitMaturity. |
| CM.PR.J | PerpetualDiscount | +1.3966% | Now with a pre-tax bid-YTW of 6.31% based on a bid of 18.15 and a limitMaturity. |
| MFC.PR.B | PerpetualDiscount | +1.4000% | Now with a pre-tax bid-YTW of 5.77% based on a bid of 20.28 and a limitMaturity. |
| BAM.PR.J | OpRet | +1.4724% | Now with a pre-tax bid-YTW of 5.52% based on a bid of 24.81 and a softMaturity 2018-3-30 at 25.00. Compare with BAM.PR.H (4.07% to 2008-10-30), BAM.PR.I (5.12% to 2013-12-30) and the new issue (5.02% to 2013-6-29). |
| RY.PR.B | PerpetualDiscount | +1.6427% | Now with a pre-tax bid-YTW of 6.01% based on a bid of 19.80 and a limitMaturity. |
| GWO.PR.G | PerpetualDiscount | +1.8388% | Now with a pre-tax bid-YTW of 6.04% based on a bid of 21.60 and a limitMaturity. |
| BNS.PR.N | PerpetualDiscount | +2.2263% | Now with a pre-tax bid-YTW of 5.93% based on a bid of 22.50 and a limitMaturity. |
| BCE.PR.C | FixFloat | +2.2727% | |
| BMO.PR.H | PerpetualDiscount | +2.7273% | Now with a pre-tax bid-YTW of 5.90% based on a bid of 22.60 and a limitMaturity. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| MFC.PR.B | PerpetualDiscount | 273,166 | Now with a pre-tax bid-YTW of 5.77% based on a bid of 20.28 and a limitMaturity. |
| TD.PR.P | PerpetualDiscount | 208,374 | Now with a pre-tax bid-YTW of 5.82% based on a bid of 22.91 and a limitMaturity. |
| MFC.PR.C | PerpetualDiscount | 207,052 | Now with a pre-tax bid-YTW of 5.72% based on a bid of 19.80 and a limitMaturity. |
| BNS.PR.K | PerpetualDiscount | 205,100 | Now with a pre-tax bid-YTW of 5.79% based on a bid of 21.10 and a limitMaturity. |
| GWO.PR.F | PerpetualPremium | 100,853 | Now with a pre-tax bid-YTW of 5.48% based on a bid of 25.40 and a call 2012-10-30 at 25.00. |
There were twenty-two other index-included $25-pv-equivalent issues trading over 10,000 shares today.